A simple C++ based parser for binance's official tick data with Python interface

First, make sure you have numpy, pybind11 and boost installed. You may make a new environment by

conda create -n binance_tick boost-cpp pybind11 numpy
conda activate binance_tick

Also make sure you have compilers installed. For example, you should install the build-essential package under Ubuntu

sudo apt install build-essential

You can simply clone the repository by

git clone https://github.com/lostleaf/binance_tick_parser.git

Optionally, since the sample data is held by Git Large File System, you will have to install the git-lfs extension to run the test code with sample data

curl -s https://packagecloud.io/install/repositories/github/git-lfs/script.deb.sh | sudo bash
sudo apt update
sudo apt install git-lfs

And get the sample data by

git lfs pull

First, build the extensions

python setup.py build_ext --inplace

You should be able to run the test code

python test_run.py